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We study the problem of testing the error distribution in a multivariate linear regression (MLR) model. The tests are functions of appropriately standardized multivariate least squares residuals whose distribution is invariant to the unknown cross-equation error covariance matrix. Empirical...
Persistent link: https://www.econbiz.de/10005545654
widely used is the Sharpe-Lintner-Black Capital Asset Pricing Model (CAPM). However many anomalies and evidence against this … version have been presented. To assume that the CAPM holds in a conditional sense is to assume that the betas and the market … risk premium vary along time. We present a test of the conditional version of the CAPM for the Mexican economy, that uses a …
Persistent link: https://www.econbiz.de/10005434714
Few issues are more important for finance practice than the computation of market betas. Existing approaches compute market betas using historical data. While these approaches differ in terms of statistical sophistication and the modeling of the time-variation in the betas, they are all...
Persistent link: https://www.econbiz.de/10005440055
Modern aggregation theory and index number theory were introduced into monetary economics by Barnett (1980). The widely … used Divisia monetary aggregates were based upon that paper. A key result upon which the rest of the theory depended was …
Persistent link: https://www.econbiz.de/10005412580
Se han analizado 6 grupos de variables en un intento de explicar el retorno futuro de las acciones utilizando el CAPM … permite sostener la tesis central del CAPM. Ninguna de las betas de 6 grupos de variables es capaz de discriminar …
Persistent link: https://www.econbiz.de/10005413097
Capital Asset Pricing Model (CAPM) y el Arbitrage Pricing Theory (APT), los dos modelos de valuación de activos de capital … realidad. Además, se presentan aplicaciones prácticas del CAPM y un análisis de las principales diferencias entre ambos modelos. …
Persistent link: https://www.econbiz.de/10005413116
general models like multi-factor CAPM and arbitrage pricing theory (APT) models could be more appropriate models for analysing … and riskiness. Capital Asset Pricing Model (CAPM) a market equilibrium model is applied to these seven bank’s stocks. The …
Persistent link: https://www.econbiz.de/10005413135
The decomposition of national CAPM market betas of European countries’ value and growth portfolio returns into cashflow … relatively well integrated stock markets among the core European countries and reflects basic asset pricing theory. One (national …
Persistent link: https://www.econbiz.de/10005463544
measure of risk aversion derived from the CAPM � a model that does not require those restrictive assumptions � we find … approximate the risk aversion parameter of a CAPM. This occurs if the ratio between the variance of the returns on assets and the …
Persistent link: https://www.econbiz.de/10005467316
We demonstrate that in a CAPM economy Walras Law and the Tobin Separation Property characterize market demand in finite … sets of prices. Consequently, for any number n there exist CAPM economies which have at least n equilibria and hence have n …
Persistent link: https://www.econbiz.de/10004968172